commodity vega risk factors

Defined in Article 325p, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 27/06/2019 – today applies on 11/11/2026 Article 325p, Capital Requirements Regulation (CRR) Scope: Article 325y

   The commodity vega risk factors to be applied by institutions to options with underlyings that are sensitive to commodity shall be the implied volatilities of commodity prices per commodity type, which shall be mapped to the following maturities in accordance with the maturities of the corresponding options subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years. Institutions shall consider sensitivities to the same commodity type and allocated to the same maturity to be a single risk factor which institutions shall then offset.

Used in (0 places in 0 provisions on 11/11/2026)

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